Stata The Stata listserver
[Date Prev][Date Next][Thread Prev][Thread Next][Date index][Thread index]

st: mlogit, IIA test


From   Dean Yang <dyang@fas.harvard.edu>
To   statalist@hsphsun2.harvard.edu
Subject   st: mlogit, IIA test
Date   Mon, 14 Oct 2002 08:22:39 -0400

This question is about why I am getting strange results after running a Hausman-McFadden test for the IIA assumption after multinomial logit (-mlogit-) estimation.

I am estimating a McFadden choice model using -mlogit- with 8 choices and about 1 million observations. The model is fully saturated (all my right-hand-side variables are mutually-exclusive dummy variables). To test the IIA assumption, I have run a Hausman-McFadden test:

1. I first conduct the estimation with all 8 choices, then save the coefficient estimates (using -hausman, save-).

2. I re-estimate the model, but removing from the dataset all observations that make a particular choice (it doesn't matter which one I remove). I then test the equality of the coefficients versus the results of #1 above (using -hausman, alleqs less-).

I am puzzled because all the coefficients from #2 are EXACTLY the same as the coefficients from #1 above. (So of course, the chi-squared statistic on the test is zero, with a p-value of 1.00.)

I am hesitant to interpret this result as saying that my model is PERFECTLY specified. Rather, I suspect that some characteristic of my set-up (perhaps the fact that the independent variables are mutually-exclusive dummies) is generating this result, so that the test has no power in this situation.

Does anyone have any insight into what is going on?

Thanks in advance,
Dean


--------------------------------------------------------------------
Dean Yang
Ph.D. Candidate, Department of Economics
Littauer Center, Room 200
Harvard University
Cambridge, MA 02138

Phone: 1-857-222-0375
Email: dyang@fas.harvard.edu
http://www.people.fas.harvard.edu/~dyang

Home address:
52 Mt. Pleasant Street, #2
Cambridge, MA 02140
USA
Home phone: 1-617-864-8810

*
* For searches and help try:
* http://www.stata.com/support/faqs/res/findit.html
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/




© Copyright 1996–2014 StataCorp LP   |   Terms of use   |   Privacy   |   Contact us   |   What's new   |   Site index